Book Description
Succeed in econometrics with INTRODUCTORY ECONOMETRICS and its accompanying resources! Easy-to-read and student-friendly, this economics text places an emphasis on examples that give a concrete reality to economic relationships. With study tools found throughout the text, exam preparation and class projects have never been easier. Coverage of important knowledge used for empirical work and carrying out research projects in a variety of applied social science fields gives you a solid foundation for social science research.
Customer Reviews:
Great Exposition, but Poor Notation.......2007-09-27
Great introduction to the subject, but the notation is poor. By presenting the material without matrix algebra, the multiple regression analysis becomes a convoluted mess of summation notation. Additionally, matrix notation is adopted in more advanced texts, making in beneficial to learn from the start.
A very good book.......2007-02-26
Wooldridge's explanations are clear and useful. After a semester hacking my way through the dense brush of matrices in Greene's book, I realized I needed some help. Now I go to Wooldridge's treatment first, to make sure I understand the main concepts. Then I go to Greene for the detail, if I need to.
Great for Self-studying.......2006-12-04
This books is excellent read. It builds good intuition, and is well suited for self-studying. It is also not too mathematical, no matrix notation, good for undergraduate students or as a review for graduate students. I can truly recommmend it.
Excellent for cross-sectional but needs complements for time series.......2006-12-01
As the author says, the book is "aimed at undergraduates but it is adaptable to master's students". It will provide you with excellent and extensive real life explanations. What is better about this book is that you can redo every example in the book by using the online data that it provides with. This was it is easier what happens by experimenting. In that sense this book is superior to many others where you cannot see how the results of estimations came about.
There is only one thing to take into account. Although there are three parts to this book, the shortest one is time series. Its coverage will is therefore not very comprehensive if you want basic explanations like the VAR, GARCH models etc...
In that case, I would recommend the book New Directions in Econometric Practice by Wojciech W. Charemza.
Wooldridge is best.......2005-10-03
Wooldridge is best (review refers to 2nd edition).
You don't need any other book to start intermediate econometrics or indeed econometrics at all once you know a little first-year statistics; the Amazon reviewers who prefer Gujarati or others are living in the dead past: W is better and easier and leaves very little out that G covers.
Ignore the tempting "dumbing down" implications of the publishers' advertising material whether filtered by Amazon or not; they don't need to sell the book because it's used all over the world in the best places and just walks out of the store. He dumbs down not at all or else, occasionally, very successfully.
The only possible alternative at this level (in fact well below) is Stock and Watson but they don't make you do exercises on data, which I assure you is essential fun.
Of course if you don't like exercises you can also read Peter Kennedy's Guide and philosophise. I imagine that the next step up is Greene's semi-encyclopedia or Davidson and MacKinnon's newer or older books, unless you choose to jump into the literature as W helps you to do.
All of these books just introduce Time Series too slowly and too late: try Terence Mills' several books on various aspects: he has the rare talent of simplicity AND brevity. Perhaps W's next book will be on Time Series (on which he has published).
By the way, it is easy and great fun to find inappropriate analyses in almost any econometrics book if you use a good package: David Hendry's PcGive suite etc is especially quick for this purpose: a few clicks and the graphs show the nonsense. I sometimes think that the popularity of EViews with students is precisely because inappropriate analyses are easily hidden. More expert people than me use Stata, but I don't know ....
I loved Streakieblondie's review, but I must tell her and you all that the Schaum book (I spare the author's blushes) is a stinker, useful only for getting through bad exams set by lazy lecturers, though many Schaum books in well-established areas are excellent. Both W and S&W are high-class professionals who happen to know how to write text-books, and they have all three collaborated with Nobel Prizewinners: so go for quality. Why don't the publishers' reviews and materials say this rather than implying that they've made good new stuff trivially easy? In my view W has judged it better than S&W.
If you're VERY keen, Wooldridge's other book on panel data is just terrific (but some matrices Streakieblondie, though with lots of clever help).
Customer Reviews:
What a wonderful book!.......2007-01-06
I am a PhD student on finance with only basic knowledge in econometrics and this book really helped me a lot. It aims to bridge theory and practice and Vogelvang does really great on this daunting task. There are plenty of books out there on econometrics with plenty of material, but when it comes down to write a paper, it is difficult to select from all the procedures available. This book not only refreshes (eloquently!) the most important concepts of econometrics, shows you which buttons to press in eviews, but also guides you on how to connect all these steps in a systematic way towards publishing an econometric paper. In this regard, a lot of hints and advice is given throughout the text on what you should add (verbally or quantitatively) here and there to make your analysis sound, and how to present conclusive tables, figures, etc. After all, this book is a great starting point for becoming econometricians using eviews. Unfortunately, it is a little expensive, especially for us starving scientists.
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Handbook of Game Theory with Economic Applications Volume 3 (Handbooks in Economics) (Handbooks in Economics)
Manufacturer: North Holland
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Handbook of Mathematical Economics. THREE VOLUME SET (Handbooks in economics)
ASIN: 0444894284 |
Book Description
This is the third volume of the
Handbook of Game Theory with Economic Applications. Since the publication of multi-Volume 1 a decade ago, game theory has continued to develop at a furious pace, and today it is the dominant tool in economic theory. The three volumes together cover the fundamental theoretical aspects, a wide range of applications to economics, several chapters on applications to political science and individual chapters on applications to disciplines as diverse as evolutionary biology, computer science, law, psychology and ethics. The authors are the most eminent practitioners in the field, including three Nobel Prize winners.
The topics covered in the present volume include strategic ("Nash") equilibrium; incomplete information; two-person non-zero-sum games; noncooperative games with a continuum of players; stochastic games; industrial organization; bargaining, inspection; economic history; the Shapley value and its applications to perfectly competitive economies, to taxation, to public goods and to fixed prices; political science; law mechanism design; and game experimentation.
Book Description
Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. Many mathematical tools are needed to solve these models. The book presents various methods for computing the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. Part II discusses methods for solving heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. Through an accompanying home page to this book, computer codes to all applications can be downloaded.
Average customer rating:
- Somewhat dated...but still helpful
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Computational Economics and Finance: Modeling and Analysis with Mathematica (Economic & Financial Modeling with Mathematica)
Manufacturer: Springer
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An Introduction to Programming with Mathematica, Third Edition
ASIN: 0387945180 |
Book Description
As with the first volume, Volume Two of
Economic and
Financial Modeling with Mathematica is edited by Hal Varian, and its contributors are carefully selected by him to assure a high quality, practical work reflecting the efforts and expertise of an international cadre of Mathematica users from the economic, financial, investments, quantitative business and operations research communities.
Customer Reviews:
Somewhat dated...but still helpful.......2002-01-19
For the reader well-versed in Mathematica and in economic theory, this book gives a fairly good overview of how Mathematica can be used to study mathematical economics and finance. It is also assumed in the articles in the book that the reader has a strong background in mathematics. Since the book was published in 1993, Mathematica has considerably expanded, with many new features that make some of the accompanying code in the book somewhat dated, but the notebooks can still be used beneficially.In addition, economic theory is currently making more use of symbolic programming, and financial analysis has exploded as an area which is now making heavy use of high-performance computing. Although Mathematica cannot compete from a performance standpoint with the needs of financial engineering, it still has an advantage from a didactic standpoint. I did not read all of the articles in the book, so my comments will be limited to the ones that I did.
The article on "Mathematica and Diffusions" is an overview of how to use Mathematica to do stochastic calculus. The Ito calculus is reviewed briefly, and the authors begin with constructing a Weiner process. The Mathematica package they employ and on the disk accompanying the book is not discussed in detail, but is merely used to simulate realizations of the process. Readers who want a more in-depth view will have to go over the code themselves. The authors use the package to generate realizations of Weiner processes that are correlated with each other, and show this correlation via Mathematica graphics. The Black-Scholes formula is derived using the standard self-financing trading strategy and ignoring transaction costs and dividends. The algebraic manipulations are done with Mathematica, and this obscures (a little) the underlying concepts behind the derivation of this important formula. Since data structures in Mathematica are essentially lists, the authors outline the construction of the data structure that could be used to represent a diffusion, namely a list consisting of five terms: the diffusion, Weiner process name, expression for the drift and dispersion, and the initial value. For the reader familiar with OO-programming, accessor functions are used to extract the components of this data structure. This is a nice move by the authors, for it is an example of how Mathematica can be used to emulate OO-programming.
The article "Itovsn3: Doing Stochastic Calculus with Mathematica" is an overview of how to use the Itovsn3 package that is on the disk to implement Ito calculus. It is assumed that the reader has a background in stochastic calculus, since the author does not give a review. However, semimartingales, so important to those working in financial engineering, are discussed and their statistical behavior described using Mathematica. The Ito formula is presented as a semimartingale-type decomposition for smooth function of Brownian motion and the author shows using Mathematica plots how the higher order terms in the second-order Taylor expansion vanish asymptotically. This article is not merely Mathematica code for Ito calculus, for the author gives an example of how to use the package in a hedging problem.
The article "Option Valuation" is a more detailed overview of how to use Mathematica in the context of the Black-Scholes model to perform options valuation and risk management. Heavy use is made of the graphics capability of Mathematica to illustrate how option values change as a function of stock price and time of expiration. The author also shows how Mathematica can be used as a OO-language to treat options as self-contained objects with accessor functions. He does however state that Mathematica does not live up to the OO toolkits available elsewhere, contrary to my experience. He closes the article with a consideration of how to use Mathematica to value options that can be exercised before expiry, the binomial model playing the central role in the discussion. It is here in particular that the performance of Mathematica is readily felt. The numerical number-crunching needed to do the calculations in these types of models cannot be done in Mathematica efficiently and profitably.
The article "Time Series Models and Mathematica" gives a general treatment on how Mathematica can be used to study ARIMA models for time series. Mathematica is used more interactively than the other articles and the visualization obtained is quite nice in giving the reader insight into such concepts as the moving average and the spectral density function. The author shows how to estimate the spectral density function and why periodogram techniques fall short in this estimation. I would have liked to see other techniques for studying time series discussed, such as neural networks and hidden Markov models, but the author does do a fairly good job with the ARIMA models.
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Spatial Econometrics: Statistical Foundations and Applications to Regional Convergence (Advances in Spatial Science)
Giuseppe Arbia
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Spatial Data Analysis: Theory and Practice
ASIN: 354032304X |
Book Description
The new economic geography and the debate on regional economic convergence have drawn increasingly the interest of economists in the empirical analysis of regional and spatial data. However, even if the methodology for the econometric treatment of spatial data is well developed, there does not exist a book without strong pre-requisites that is easily accessible to economists. This book bridges the gap between economic theory and spatial econometric techniques. It is easy accessible to people with only basic statistical background and no prior knowledge of spatial econometric methods. It provides a comprehensive treatment of the topic by motivating the reader with examples and real data analysis. The volume provides a rigorous treatment, founded on stochastic fields theory, of the basic spatial linear model, and discusses the violations of the classical regression assumptions that occur when dealing with spatial data.
Book Description
In modern economies a substantial proportion of resources is increasingly allocated to transaction costs. An improvement in the definition of transaction costs to include both the information role and efficiency role requires an integration of the approaches of positive economics and normative economics. In The Economics of Transaction Costs P.K. Rao provides a comprehensive analytical treatment of the subject and suggests a few directions for formal economic models.
Customer Reviews:
Totally useless.......2007-04-27
The title of this book is impressive, and I thought it was a book about transaction cost analysis for financial assets, such as stocks, bonds, options, etc. But no, this is some kind of "general, abstract" (and IMHO useless) treatment of some kind of "general, abstract" concept of transaction cost. In fact, there's no financial application in this book at all.
Book Description
The book inquires the consequences of speculative trading based on private information about financial asset markets. It presents an extensive and thorough discussion of theoretical and empirical methods used in previous studies on sequential trade models. The text also introduces a new framework for estimation and hypothesis testing that extends earlier work in the field substantially. Several market microstructure models in the spirit of Easley, Kiefer, O'Hara and Paperman (Journal of Finance, 1996) are reviewed. The common theme of these papers is the focus on the consequences of information based trading on the price setting behaviour of the market maker. Assuming that some traders have private information about a security's true value, a number of relations between observable quantities like the spread, the volume, timing of trades and volatility of asset prices can be established. The authors introduce a number of improved methods for estimation and hypothesis testing for sequential trade models and apply this econometric framework employing a high frequency transaction data set for a number of stocks traded on the New York Stock Exchange during August 1996. All results that are necessary for understanding the empirical framework introduced are derived step-by-step. The text is ideally suited as a reference work on old and new results as well as a textbook for graduate courses on Market Microstructure Theory, Empirical Methods in Finance or Econometrics.
Book Description
This is the second of three volumes containing edited versions of papers and a commentary presented at invited symposium sessions of the Ninth World Congress of the Econometric Society, held in London in August 2005. The papers summarize and interpret key developments, and they discuss future directions for a wide variety of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields, these volumes provide a unique survey of progress in the discipline.
Book Description
This book surveys the theories, techniques (model- building and data collection), and applications of econometrics.
KEY TOPICS: It focuses on those aspects of econometrics that are of major importance to readers and researchers interested in performing, evaluating, or understanding econometric studies in a variety of areas. It reviews matrix notation and the use of multivariate statistics; discusses the specification of the model and the development of data for its estimation; covers recent developments in econometric models, techniques, and applications; explains the estimation of single-equation models; and provides case studies of the applications of econometrics to a wide array of areas — including traditional areas such as the estimation of demand functions and production functions, and macroeconometric models.
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